Trying to figure this out both ten year notes and the bond are up about 20 ticks with 5 minutes till close. Someone must be getting blown out of 10-30yr curve flatteners. Any opinions?
Yep, exactly what I was gonna say, that WSJ article today probably didn't help the CTD issues either. Went home short the NOB (sold 17.5 in ten year and bought 08's in the bond). Hopefully that curve flattens before the weekend because the 2-10yr curve flattened a bunch today. The sep-dec ten year spread was 23 bid on the open, traded 24.25, then a local put out a high ball at 24.5, and all of a sudden it traded to 28, once again has to do with the squeeze. This is gonna be one strange roll with the big players (Gross, Citadel, JP Morgan prop desk, etc.). Also JP Morgan has bought about 50,000 Dec futures up to 110-20 this week, with Morgan Stanley selling them about 10,000 today (pretty much all on the screen, but locals were legging the spread today both ways so were able to see counterparties).
You have time to roll! Mid September.......(Last Trading Day= Seventh business day preceding the last business day of the delivery month.) I am looking to sell 30's soon. The volume in Z's will start picking up after Labor Day.
In the 30yr you have time to roll, the big paper has not really started to roll any 30's yet (but it is underway in 5's and 10's). You might want to roll sooner if you are looking to get long the Dec, as the 30yr spread is trading at 12 (somewhat closer to zero or negative than the ten year spread at 25 about). It is more advantageous to roll now than say a few weeks from now when the spread may be trading close to zero or even negative and you have paid up greatly just to be long the Dec, especially with all of the CTD issues as of late.
mcurto, why is the spread going to trade closer to zero? This happened on the last rollover, the calendar was diminishing everyday I couldn't understand why (talking on the 30yr), the CTD was the same. (For the june and september contracts) I would appreciate your comments
I think in terms of the 30yr everyone had the flattener on, long 30yrs and short anything else on the curve. It seemed as though also at times it was the 10yr spread dragging it lower. My guess is guys also made it hard to get 30yr CTD to in repo because tens were impossible to get. Only my opinion. Wait till Goldman roll my guess is they will be a net seller of the spread, possibly pushing it lower, but depends on where its legging too.
One of my buddies legs the 5, 10, and 30yr spreads every rollover upstairs on the screen. He said last roll everyone would get hit on the legs with the edge, and then race to the spread market to cover them, so made for a very challenging rollover for the guys who leg the spreads, not to mention the 10yr spread market probably saw some speculation in the direction of the spread based on Wall Street whisperings of possible squeeze.